Changes in the order of integration of US and UK inflation
Denise Osborn () and
Marianne Sensier ()
Economics Letters, 2009, vol. 102, issue 1, 30-32
Employing the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441-469.] for a single change in persistence and repartitioning the sample when a break is found, this paper shows that US and UK inflation changes from I(0) to I(1) in the early 1970s, with a subsequent reversion to I(0) behaviour, compatible with modern macroeconomic theories, in the early 1980s.
Keywords: Inflation; Structural; change (search for similar items in EconPapers)
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Working Paper: Changes in the order of integration of US and UK inflation (2007)
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